PowerBI On-Prem Gateway Direct Query with TLS

Hello,

We are trying to connect to an on-prem SQL Server database using PowerBI On-Prem Gateway in Direct Query mode and encrypted connection between the Gateway and the SQL Server database. Our setup is a bit special because we have a proxy server between the GW and the SQL Server: PowerBI Cloud --> On-Prem GW --> Proxy --> SQL Server.

The proxy server only supports encrypted connections. What we observe when we try to load data from PowerBI Cloud is that the On-Prem GW tries to connect to the Proxy server using an unencrypted connection (see network capture below of pre-login message). Does anyone here know if encrypted connections are supported in PowerBI On-Prem GW when using Direct Query?

Tabular Data Stream
    Type: TDS7 pre-login message (18)
    Status: 0x01, End of message
        .... ...1 = End of message: True
        .... ..0. = Ignore this event: False
        .... .0.. = Event notification: False
        .... 0... = Reset connection: False
        ...0 .... = Reset connection keeping transaction state: False
    Length: 94
    Channel: 0
    Packet Number: 1
    Window: 0
    Pre-Login Message
        Option: Version
            Option Token: Version (0)
            Option offset: 36
            Option length: 6
            Version: 4.8.4455
            Sub-build: 0
        Option: Encryption
            Option Token: Encryption (1)
            Option offset: 42
            Option length: 1
            Encryption: Encryption is available but off (0)
        Option: InstOpt
            Option Token: InstOpt (2)
            Option offset: 43
            Option length: 1
            InstOpt: 
        Option: ThreadID
            Option Token: ThreadID (3)
            Option offset: 44
            Option length: 4
            ThreadID: 1152
        Option: MARS
            Option Token: MARS (4)
            Option offset: 48
            Option length: 1
            MARS: Off (0)
        Option: TraceID
            Option Token: TraceID (5)
            Option offset: 49
            Option length: 36
            TraceID: 799793f2adf9c64f8d2c3680fa47a82252ad5b7e7f05ac41922e2bb4cb13eeec01000000
        Option: FedAuthRequired
            Option Token: FedAuthRequired (6)
            Option offset: 85
            Option length: 1
            FedAuthRequired: 1
        Option: Terminator
            Option Token: Terminator (255)

Thanks!